Bezirgen Veliyev : Citation Profile

Aarhus Universitet

6

H index

4

i10 index

126

Citations

RESEARCH PRODUCTION:

13

Articles

16

Papers

RESEARCH ACTIVITY:

   15 years (2010 - 2025). See details.
   Cites by year: 8
   Journals where Bezirgen Veliyev has often published
   Relations with other researchers
   Recent citing documents: 60.    Total self citations: 8 (5.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve315
   Updated: 2025-12-20    RAS profile: 2025-05-16    
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Relations with other researchers

Works with:

Kock, Anders (5)

Christensen, Bent Jesper (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bezirgen Veliyev.

Is cited by:

Yu, Jun (6)

Demirer, Riza (3)

Pigato, Paolo (3)

Shi, Shuping (3)

Hirano, Keisuke (2)

Medeiros, Marcelo (2)

Lyócsa, Štefan (2)

Hautsch, Nikolaus (2)

Hansen, Erwin (2)

Cepni, Oguzhan (2)

Kock, Anders (2)

Cites to:

Bollerslev, Tim (25)

Andersen, Torben (24)

Shephard, Neil (17)

Podolskij, Mark (15)

Diebold, Francis (15)

Lunde, Asger (13)

Hansen, Peter (13)

Newey, Whitney (12)

Corsi, Fulvio (10)

Ait-Sahalia, Yacine (9)

Flachaire, Emmanuel (8)

Main data

Where Bezirgen Veliyev has published?

Journals with more than one article published# docs
Journal of Econometrics4
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org8

Recent works citing Bezirgen Veliyev (2025 and 2024)

YearTitle of citing document
2024Online Action Learning in High Dimensions: A Conservative Perspective. (2024). Medeiros, Marcelo ; Flores, Claudio C. In: Papers. RePEc:arx:papers:2009.13961.

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2024Statistical inference for rough volatility: Minimax Theory. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214.

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2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2025Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits. (2025). Hirano, Keisuke ; Porter, Jack R. In: Papers. RePEc:arx:papers:2302.03117.

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2025Rough volatility, path-dependent PDEs and weak rates of convergence. (2025). Bonesini, Ofelia ; Jacquier, Antoine ; Pannier, Alexandre. In: Papers. RePEc:arx:papers:2304.03042.

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2024The fundamental theorem of asset pricing with and without transaction costs. (2024). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

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2024Estimating the roughness exponent of stochastic volatility from discrete observations of the integrated variance. (2024). Han, Xiyue ; Schied, Alexander. In: Papers. RePEc:arx:papers:2307.02582.

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2025Path-dependent PDEs for volatility derivatives. (2024). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

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2024Rough volatility: evidence from range volatility estimators. (2024). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

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2024Roughness Signature Functions. (2024). Christensen, Peter. In: Papers. RePEc:arx:papers:2401.02819.

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2025Regularizing Discrimination in Optimal Policy Learning with Distributional Targets. (2024). Kock, Anders ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2401.17909.

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2024Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2403.12653.

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2025A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2025). Tabord-Meehan, Max ; Shaikh, Azeem ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

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2024HARd to Beat: The Overlooked Impact of Rolling Windows in the Era of Machine Learning. (2024). Chassot, Jonathan ; Audrino, Francesco. In: Papers. RePEc:arx:papers:2406.08041.

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2024A nonparametric test for rough volatility. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2407.10659.

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2024A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

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2025Time-Series Foundation Model for Value-at-Risk Forecasting. (2025). Kanniainen, Juho ; Pasricha, Puneet ; Goel, Anubha. In: Papers. RePEc:arx:papers:2410.11773.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2024Deep learning interpretability for rough volatility. (2024). Brigo, Damiano ; Yuan, BO ; Jacquier, Antoine ; Pede, Nicola. In: Papers. RePEc:arx:papers:2411.19317.

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2025Multivariate Rough Volatility. (2024). Pigato, Paolo ; Giorgio, Giacomo ; Dugo, Ranieri. In: Papers. RePEc:arx:papers:2412.14353.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025On the rate of convergence of estimating the Hurst parameter of rough stochastic volatility models. (2025). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2504.09276.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2504.15985.

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2025Empirical Models of the Time Evolution of SPX Option Prices. (2025). Hsieh, David A ; Brini, Alessio ; Kuiper, Patrick ; Moushegian, Sean ; Ye, David. In: Papers. RePEc:arx:papers:2506.17511.

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2025Fusing Narrative Semantics for Financial Volatility Forecasting. (2025). Zohren, Stefan ; Vryonides, Chris ; Kaiser, Marcus ; Hwang, Yoontae ; Kong, Yaxuan ; Oomen, Roel. In: Papers. RePEc:arx:papers:2510.20699.

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2025Maximum Likelihood Estimation of Fractional Ornstein-Uhlenbeck Process with Discretely Sampled Data. (2025). Yu, Jun ; Xiao, Weilin ; Zhang, Chen ; Wang, Xiaohu. In: Working Papers. RePEc:boa:wpaper:202527.

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2025Modeling and Forecasting Realized Volatility with Multivariate Fractional Brownian Motion. (2025). Yu, Jun ; Zhang, Chen ; Bibinger, Markus. In: Working Papers. RePEc:boa:wpaper:202528.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2024On the spectral density of fractional Ornstein–Uhlenbeck processes. (2024). Yu, Jun ; Zhang, Chen ; Shi, Shuping. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002173.

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2025Forecasting multivariate volatilities with exogenous predictors: An application to industry diversification strategies. (2025). GUPTA, RANGAN ; Demirer, Riza ; Cepni, Oguzhan ; Luo, Jiawen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000179.

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2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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2024What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

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2025Examining the nexus between exporting status and CO2 productivity in Indonesian agri-based manufacturing. (2025). Luckstead, Jeff ; Mandasari, Putriesti. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000386.

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2025Forecasting Chinas precious metal futures volatility: GBRT models and time-model dimension combination of Tree SHAP. (2025). Feng, Lingbing ; Huang, Dasen ; Wang, Xinyi ; Zheng, Yuhao ; Zhu, Ziyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003369.

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2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Hansen, Erwin ; Diaz, Juan D ; Cabrera, Gabriel. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

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2024Macro-Driven Stock Market Volatility Prediction: Insights from a New Hybrid Machine Learning Approach. (2024). Lin, YU ; Xu, Jin ; Lu, Xinjie ; Zeng, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006434.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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2025Predicting volatility in Chinas clean energy sector: Advantages of the carbon transition risk. (2025). Chen, Zhu ; Luo, Qin. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015630.

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2025Climate risk and predictability of global stock market volatility. (2025). Ma, Yong ; Zhou, Mingtao. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000253.

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2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Niu, Zibo ; Zhu, Xuehong ; Suleman, Muhammad Tahir ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

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2024From fundamental signals to stock volatility: A machine learning approach. (2024). Ma, Tian ; Liao, Cunfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000349.

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2025How does managerial perception of uncertainty affect corporate investment during the COVID-19 pandemic: A text mining approach. (2025). Kimura, Yosuke ; Chen, Ying ; Inoue, Kotaro. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24004074.

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2025How do Chinese urban investment bonds affect its economic resilience? Evidence from double machine learning. (2025). Lucey, Brian ; Abedin, Mohammad Zoynul ; Fang, Yan ; Liu, Yinglin ; Yang, YI. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s027553192400521x.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2024Asymptotic expansion of the quadratic variation of fractional stochastic differential equation. (2024). Yoshida, Nakahiro ; Yamagishi, Hayate. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:175:y:2024:i:c:s0304414924000954.

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2024The impact of carbon transition risk concerns on stock market cycles: Evidence from China. (2024). Zeng, Qing ; Huang, Dengshi ; Lu, Xinjie ; Luo, Qin. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:209:y:2024:i:c:s0040162524006255.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025Predicting the Canadian Yield Curve Using Machine Learning Techniques. (2025). Naderi, Hosein ; Rayeni, Ali. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:170-:d:1745876.

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2025Semiparametric Estimation and Application of Realized GARCH Model with Time-Varying Leverage Effect. (2025). Liu, Guangying ; Lin, Jinguan ; Mao, Yizhi ; Hao, Hongxia. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:9:p:1506-:d:1648583.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2024Can central bankers’ talk predict bank stock returns? A machine learning approach. (2024). Leledakis, George ; Pyrgiotakis, Emmanouil G ; Panagiotou, Nikolaos P ; Katsafados, Apostolos G. In: MPRA Paper. RePEc:pra:mprapa:122899.

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2024The Multivariate Fractional Ornstein-Uhlenbeck Process. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:581.

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2024Multivariate Rough Volatility. (2024). Pigato, Paolo ; Dugo, Ranieri ; Giorgio, Giacomo. In: CEIS Research Paper. RePEc:rtv:ceisrp:589.

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2024Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Nagy, Odett ; Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1.

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2024Bandit algorithms for policy learning: methods, implementation, and welfare-performance. (2024). Rowley, Jeff ; Kitagawa, Toru. In: The Japanese Economic Review. RePEc:spr:jecrev:v:75:y:2024:i:3:d:10.1007_s42973-024-00165-6.

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2025Limit Theorems for $$\sigma $$ σ -Localized Émery Convergence. (2025). Melnikov, Vasily. In: Journal of Theoretical Probability. RePEc:spr:jotpro:v:38:y:2025:i:1:d:10.1007_s10959-024-01388-4.

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2024Rough Volatility: Fact or Artefact?. (2024). Cont, Rama ; Das, Purba. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:86:y:2024:i:1:d:10.1007_s13571-024-00322-2.

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2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

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2024Forecasting the high‐frequency volatility based on the LSTM‐HIT model. (2024). Wang, Min ; Zhuang, Ziyan ; Liu, Guangying. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1356-1373.

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2025Forecasting the Volatility of US Oil and Gas Firms With Machine Learning. (2025). Hansen, Erwin ; Cabrera, Gabriel ; Daz, Juan D. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1383-1402.

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Works by Bezirgen Veliyev:

YearTitleTypeCited
2015Validity of Edgeworth expansions for realized volatility estimators In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2016Validity of Edgeworth expansions for realized volatility estimators.(2016) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 4		article
2015Inference from high-frequency data: A subsampling approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper10
2017Inference from high-frequency data: A subsampling approach.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 10		article
2015Edgeworth expansion for the pre-averaging estimator In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2015Edgeworth expansion for the pre-averaging estimator.(2015) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2017Edgeworth expansion for the pre-averaging estimator.(2017) In: Stochastic Processes and their Applications.
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This paper has nother version. Agregated cites: 6		article
2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing.(2019) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 6		article
2018Edgeworth expansion for Euler approximation of continuous diffusion processes In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2021A machine learning approach to volatility forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper38
2023A Machine Learning Approach to Volatility Forecasting*.(2023) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 38		article
2021The incremental information in the yield curve about future interest rate risk In: CREATES Research Papers.
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2023The incremental information in the yield curve about future interest rate risk.(2023) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 0		article
2010A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage In: Papers.
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2012Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process In: Papers.
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2014UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 0		article
2020Functional Sequential Treatment Allocation In: Papers.
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2022Functional Sequential Treatment Allocation.(2022) In: Journal of the American Statistical Association.
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This paper has nother version. Agregated cites: 10		article
2020Functional Sequential Treatment Allocation with Covariates In: Papers.
[Full Text][Citation analysis]		paper3
2024FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES.(2024) In: Econometric Theory.
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This paper has nother version. Agregated cites: 3		article
2022Treatment recommendation with distributional targets In: Papers.
[Full Text][Citation analysis]		paper3
2023Treatment recommendation with distributional targets.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 3		article
2022A GMM approach to estimate the roughness of stochastic volatility In: Papers.
[Full Text][Citation analysis]		paper27
2023A GMM approach to estimate the roughness of stochastic volatility.(2023) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 27		article
2024Treatment Evaluation at the Intensive and Extensive Margins In: Papers.
[Full Text][Citation analysis]		paper0
2025Warp speed price moves: Jumps after earnings announcements In: Journal of Financial Economics.
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2012A short proof of the Doob–Meyer theorem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article6

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